Since the remote/receiver side with the horn is where your bigger energy demand will be, you won't get the benefit of using a 12-9V Zener if you're carrying the 12V beltpack while using your handheld spotlight. As for stepping down the voltage to use it for the transmitter, it's not going to be worth the bother a separate power cord to tangle up with the patchcord running form the CD or MP3 player to the transmitter (that patchcord also functions as the antenna--you might get RFI, too).
For the remote side, I made up a wiring harness with a charging jack and on/off switch, and got a holder for 8 AA Nickel Metal Hydride cells. BTW, some of NiMH AAs are nowadays rated over 2 Amp hours, giving them a much better power-to-weight ratio than lead acid or gel cells (I'm assuming your 12V spotlight battery is one of those). The
Nady transmitter will play for a couple of hours on a rechargeable 9V transistor radio battery.
LionHo